英文标题：
《Reverse stress testing interbank networks》
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作者：
Daniel Grigat, Fabio Caccioli
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最新提交年份：
2017
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英文摘要：
  We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers of systemic events, and it removes the arbitrariness in the selection of shock scenarios in stress testing. We consider in particular the case of distress propagation in an interbank market, and we study a network of 44 European banks, which we reconstruct using data collected from Bloomberg. By looking at the distribution across banks of the size of smallest exogenous shocks we rank banks in terms of their systemic importance, and we show the effectiveness of a policy with capital requirements based on this ranking. We also study the properties of smallest exogenous shocks as a function of the largest eigenvalue $\\lambda_{\\rm max}$ of the matrix of interbank leverages, which determines the endogenous amplification of shocks. We find that the size of smallest exogenous shocks reduces and that the distribution across banks becomes more localized as $\\lambda_{\\rm max}$ increases.
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中文摘要：
我们对金融传染的动力学进行反向工程，以找到外部冲击最小的情景，如果发生这种情况，将导致给定的最终系统性损失。这种反向压力测试可用于识别系统性事件的潜在触发因素，消除了压力测试中选择冲击情景的随意性。我们特别考虑了银行间市场中危机传播的情况，并研究了44家欧洲银行的网络，我们使用从彭博社收集的数据重建了该网络。通过观察最小外部冲击规模在银行间的分布，我们根据其系统重要性对银行进行了排名，并显示了基于此排名的资本要求政策的有效性。我们还研究了最小外部冲击作为银行间杠杆矩阵最大特征值$\\λ{\\rm max}$函数的性质，这决定了冲击的内生放大。我们发现，随着$\\ lambda{\\ rm max}$的增加，最小外部冲击的规模减小，银行间的分布变得更加局部化。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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